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利用空间经验似然进行变差函数模型的点估计与区间估计AI 解读

We present a spatial blockwise empirical likelihood method for estimating variogram model parameters in the analysis of spatial data on a grid. The method produces point estimators that require no spatial variance estimates to compute, unlike least squares methods for variogram fitting, but are as efficient as the best least squares estimator in large samples. Our approach also produces confidence regions for the variogram, without requiring knowledge of the full joint…

有序离散选择模型的设定检验AI 解读

We discuss how to test the specification of an ordered discrete choice model against a general alternative. Two main approaches can be followed: tests based on moment conditions and tests based on comparisons between parametric and nonparametric estimations. Following these approaches, various statistics are proposed and their asymptotic properties are discussed. The performance of the statistics is compared by means of simulations. An easy-to-compute variant of the standard…

一般估计方程经验似然的诊断度量AI 解读

We develop diagnostic measures for assessing the influence of individual observations when using empirical likelihood with general estimating equations, and we use these measures to construct goodness-of-fit statistics for testing possible misspecification in the estimating equations. Our diagnostics include case-deletion measures, local influence measures and pseudo-residuals. Our goodness-of-fit statistics include the sum of local influence measures and the processes of…

多类删失数据下两样本半参数模型的加权经验似然AI 解读

In this article, the weighted empirical likelihood is applied to a general setting of two-sample semiparametric models, which includes biased sampling models and case-control logistic regression models as special cases. For various types of censored data, such as right censored data, doubly censored data, interval censored data and partly interval-censored data, the weighted empirical likelihood-based semiparametric maximum likelihood estimator (θ̃n, F̃n) for the underlying…

扩散过程模型设定检验AI 解读

We propose a test for model specification of a parametric diffusion process based on a kernel estimation of the transitional density of the process. The empirical likelihood is used to formulate a statistic, for each kernel smoothing bandwidth, which is effectively a Studentized L2-distance between the kernel transitional density estimator and the parametric transitional density implied by the parametric process. To reduce the sensitivity of the test on smoothing bandwidth…

经验型似然产生的贝叶斯与频率学派置信区间AI 解读

For a general class of empirical-type likelihoods for the population mean, higher-order asymptotics are developed with a view to characterizing its members which allow, for any given prior, the existence of a confidence interval that has approximately correct posterior as well as frequentist coverage. In particular, it is seen that the usual empirical likelihood always allows such a confidence interval, while many of its variants proposed in the literature do not enjoy this…

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幂变换与门限 GARCH 模型的估计和检验AI 解读

Consider a class of power transformed and threshold GARCH(p,q) (PTTGRACH(p,q)) model, which is a natural generalization of power-transformed and threshold GARCH(1,1) model in Hwang and Basawa (2004) and includes the standard GARCH model and many other models as special cases. We first establish the asymptotic normality for quasi-maximum likelihood estimators (QMLE) of the parameters under the condition that the error distribution has finite fourth moment. For the case of…

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检验尺寸至关重要：备择假设下的协方差矩阵估计AI 解读

The purpose of this paper is to investigate, using Monte Carlo methods, whether Hall's (2000) centred test of overidentifying restrictions for parameters estimated by generalized method of moments (GMM) is more powerful, once the test is size-adjusted, than the standard test introduced by Hansen (1982). The Monte Carlo evidence shows that very little size-adjusted power is gained over the standard uncentred calculation. Copyright Royal Economic Society 2007

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形状不变恩格尔曲线的半非参数工具变量估计AI 解读

This paper studies a shape-invariant Engel curve system with endogenous total expenditure, in which the shape-invariant specification involves a common shift parameter for each demographic group in a pooled system of nonparametric Engel curves. We focus on the identification and estimation of both the nonparametric shapes of the Engel curves and the parametric specification of the demographic scaling parameters. The identification condition relates to the bounded…

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外生性的非参数检验AI 解读

This paper presents a test for exogeneity of explanatory variables that minimizes the need for auxiliary assumptions that are not required by the definition of exogeneity. It concerns inference about a non-parametric function g that is identified by a conditional moment restriction involving instrumental variables (IV). A test of the hypothesis that g is the mean of a random variable Y conditional on a covariate X is developed that is not subject to the ill-posed inverse…

贝叶斯Probit回归MCMC算法的收敛速度与渐近标准误AI 解读

Summary Consider a probit regression problem in which Y1, …, Yn are independent Bernoulli random variables such that Pr(Yi=1)=Φ(xiTβ) where xi is a p-dimensional vector of known covariates that are associated with Yi, β is a p-dimensional vector of unknown regression coefficients and Φ(·) denotes the standard normal distribution function. We study Markov chain Monte Carlo algorithms for exploring the intractable posterior density that results when the probit regression…

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纵向数据的经验似然半参数回归分析AI 解读

A semiparametric regression model for longitudinal data is considered. The empirical likelihood method is used to estimate the regression coefficients and the baseline function, and to construct confidence regions and intervals. It is proved that the maximum empirical likelihood estimator of the regression coefficients achieves asymptotic efficiency and the estimator of the baseline function attains asymptotic normality when a bias correction is made. Two calibrated…

从不可比调查计算可比统计量：以印度贫困为例AI 解读

Applied economists are often interested in studying trends in economic indicators such as inequality or poverty; however, comparisons over time can be made impossible by changes in data collection methodology. We describe an easily implemented procedure, based on inverse probability weighting, that allows recovery of comparability of estimated parameters identified implicitly by a moment condition. The validity of the procedure requires the existence of a set of auxiliary…

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广义矩估计中的信息与基于熵的矩条件选择AI 解读

In this paper, we make five contributions to the literature on information and entropy in generalized method of moments (GMM) estimation. First, we introduce the concept of the long run canonical correlations (LRCCs) between the true score vector and the moment function f (vt, θ0) and show that they provide a metric for the information contained in the population moment condition E [f (vt, θ0)] = 0. Second, we show that the entropy of the limiting distribution of the GMM…

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